Results 71 to 80 of about 279,857 (193)
Extreme Returns without News: A Microstructural Explanation [PDF]
What triggers extreme exchange-rate returns? Though news is the source of volatility in standard theoretical models, in reality volatility is often unrelated to news.
Carol Osler, Tanseli Savaser
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Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence. [PDF]
Recent portfolio choice asset pricing and option valuation models highlight the importance of skewness and kurtosis. Since skewness and kurtosis are related to extreme variations they are also important for Value-at-Risk measurements.
Jondeau, E., Rockinger, M.
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Moment characterization of higher-order risk preferences [PDF]
It is often said that prudence and temperance play key roles in aversion to negative skewness and kurtosis, respectively. This paper puts a new perspective on these relationships and presents a characterization of higher-order risk preferences in terms ...
Sebastian Ebert
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Applied SciencesPartial discharge (PD) is a primary factor leading to the deterioration of insulation in electrical equipment. However, it is hard for traditional methods to precisely extract PD signals in increasingly complex engineering environments.
Jun Zhong, Zhenyu Liu, Xiaowen Bi
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Moments and Semi-Moments for fuzzy portfolios selection [PDF]
The aim of this paper is to consider the moments and the semi-moments (i.e semi-kurtosis) for portfolio selection with fuzzy risk factors (i.e. trapezoidal risk factors).
Christian Tassak +2 more
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A Cosmic String Specific Signature on the Cosmic Microwave Background
, 1993 Using an analytical model for the string network we show that the kurtosis of cosmic microwave background (CMB) temperature gradient maps is a good statistic to distinguish between the cosmic string model and inflationary models of structure formation ...
Brandenberger, R. +2 more
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SPECTRAL MOMENTS OF FRICATIVE CONSONANTS IN SERBIAN (AN ACCOUNT OF FEMALE SPEAKERS’ PRODUCTION)
Filolog, 2020 This paper deals with the measurement of spectral moments of Serbian fricatives. The four spectral moments: centre of gravity, spectral variance, skewness, and kurtosis were measured at the onset of the fricative, on the stable-state part and at the ...
Borivoje Petrović
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Individual and collective stock dynamics: intra-day seasonalities
, 2010 We establish several new stylised facts concerning the intra-day seasonalities of stock dynamics. Beyond the well known U-shaped pattern of the volatility, we find that the average correlation between stocks increases throughout the day, leading to a ...
Balogh E Simonsen I Nagy B Neda Z +9 more
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A Note on Skewness and Kurtosis
The Annals of Mathematical Statistics, 1944 Not ...
openaire +3 more sources
Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR [PDF]
Engle and Manganelli (2004) propose CAViaR, a class of models suitable for estimating conditional quantiles in dynamic settings. Engle and Manganelli apply their approach to the estimation of Value at Risk, but this is only one of many possible ...
Kim, Tae-Hwan +2 more
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